High frequency factors based on order and trade data.
☆77Dec 16, 2023Updated 2 years ago
Alternatives and similar repositories for high-frequency-factors
Users that are interested in high-frequency-factors are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆19Mar 10, 2023Updated 3 years ago
- Stock factor mining with CNN and GRU.☆76Dec 23, 2022Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆126May 20, 2024Updated 2 years ago
- A multi-factor investment strategy based on high frequency data and machine learning.☆11Feb 25, 2023Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- My first high-frequency trading strategy using machine learning☆20Sep 16, 2022Updated 4 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆226Mar 23, 2021Updated 5 years ago
- verify OrderBook Tick Data Trading Strategy on futures.☆17Mar 21, 2019Updated 7 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆158Dec 29, 2023Updated 2 years ago
- 众人的因子回测框架 stock factor test☆31Apr 18, 2026Updated 6 months ago
- 通过遗传算法、强化学习来自动选择高频因子☆30Jan 5, 2023Updated 3 years ago
- LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈☆126May 9, 2024Updated 2 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- ☆15Apr 6, 2022Updated 4 years ago
- Combines alpha signals using a random forest, and demonstrates solutions to overlapping labels issue (rolling autocorrelation) proposed b…☆10Sep 3, 2026Updated 2 months ago
- Alpha mining with DEAP-based genetic programming.☆11Jul 7, 2023Updated 3 years ago
- 多因子选股框架☆27Dec 9, 2020Updated 5 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆23Jul 29, 2018Updated 8 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆85Oct 11, 2022Updated 4 years ago
- [Likelihood Lab Project 2024] Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆29Mar 20, 2025Updated last year
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆53Jul 13, 2023Updated 3 years ago
- ☆41Jun 13, 2023Updated 3 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆281Apr 12, 2022Updated 4 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Oct 27, 2019Updated 7 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆60Apr 6, 2023Updated 3 years ago
- Seeking Alpha, Machine Learning, ETFs Strategy☆21Nov 2, 2022Updated 4 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆23Mar 20, 2024Updated 2 years ago
- An end-to-end stock factors mining neural network framework.☆60Jun 27, 2023Updated 3 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- ☆162Updated this week
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆66Sep 4, 2023Updated 3 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Pytorch implementation of TransLOB from Transformer for limit order books☆31May 25, 2023Updated 3 years ago
- data and hummingbot script testing crypto CEX latencies☆14Nov 3, 2023Updated 3 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆22Feb 2, 2025Updated last year
- Personal Project that implements a variety of HFT strategies in C++☆79Apr 29, 2021Updated 5 years ago
- My work on a project "High Frequency Market Making: Optimal Quoting" in the Center of Mathematical Finances.☆10Mar 1, 2023Updated 3 years ago
- Official implementation for the paper: Deep Learning under Continuous Distribution Shift: The Non-Stationary NTK and Spectral Tracking SD…☆50May 27, 2026Updated 5 months ago
- 根据20170925-华泰期货-CTA量化策略因子系列(二):动量因子研报进行复现☆39Mar 20, 2023Updated 3 years ago